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Description:
by Jean-Paul Laurent & Jon Gregory
We consider a factor approach to the pricing of basket credit derivatives and synthetic CDO tranches. Our purpose is to deal in a convenient way with dependent defaults for a large number of names. We provide semi-explicit expressions of the stochastic intensities of default times and pricing formulae for basket default swaps and CDO tranches. Two cases are studied in detail: mean-variance mixture models and frailty models. We also compare prices under Gaussian and Clayton copulas
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Publisher: Not Specified
Published: Fri, 25-Apr-2008
ICRA: EC - Early Childhood
linked: 722 times
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